VWAP wtf?

[Dogpile 10]

Trying to figure out something I noticed.

 

How can ES.D be building higher VWAP and SPY be building lower VWAP on the same day?? Note, the lowest ES.D VWAP today is higher than at any VWAP point yesterday. The highest SPY VWAP today is LOWER than the lowest VWAP point yesterday?

 

confused how this could be?

 

QQQQ vs @NQ.D VWAP is consistent

IWM vs @ER2.d VWAP is consistent

 

SPY is off, wtf?

[TinGull 10]

Could be something that has to do with options expiration would be my guess. All the rebalancing of things on a quad witching day volume could be weird on either issue.

[Dogpile 10]

well volume is one thing but ESZ07.D gapped up to about equal with yesterdays high and SPY is nowhere near yesterdays high...

[TinGull 10]

Ohhhh, it's all those short positions I put on the SPY this morning at the open...forgot about that. I sold like 12 million shares at the bell.....

 

Just kidding...yea, that is weird, my SPY chart against ES look exactly the same as yours, so I dunno whats going on.

[johnbain 10]

Since VWAP starts at 0 at the start of each day, your issue is with the price part of VWAP and therefore the gap difference between SPY and ES. Wouldn't being zero'd out at the start of the day mean that terms like "higher" and "lower" are relevant only within that day and not across days?

[Dogpile 10]

forget the VWAP part of it -- really irrelevant -- that was just the first thing I noticed....

 

I don't get the price differences... they line up every day but today on my data feed (Tradestation).every time there is a higher high or a lower low, they both do it together, except for today.

 

they are consistent relative to their intraday VWAPs.